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Early warning indicators of asset price boom/bust cycles in emerging markets

  • Ponomarenko, Alexey

We apply recently developed early warning indicator systems to a cross-section of emerging markets. We find that, with little or no modification, models designed to predict asset price booms/busts in advanced countries may be useful for emerging markets. The concept of monitoring a set of asset prices, real activity and financial indicators is generally found to be efficacious. We also find that, in addition to this set of variables, early warning indicator systems for emerging countries may be augmented with capital flow indicators.

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Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 15 (2013)
Issue (Month): C ()
Pages: 92-106

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Handle: RePEc:eee:ememar:v:15:y:2013:i:c:p:92-106
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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  1. Alessi, Lucia & Detken, Carsten, 2009. "'Real time'early warning indicators for costly asset price boom/bust cycles: a role for global liquidity," Working Paper Series 1039, European Central Bank.
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